Analytical solution for an arithmetic Asian option using Mellin transforms

MaRDI QIDQ2906109zbMATH OpenFDO

Authors Zieneb Ali Elshegmani, Rokiah Rozita Ahmad

Publication date 28 August 2012

Published in International Journal of Mathematical Analysis (Ruse) (Search for Journal in Brave)

Full work available at URL http://www.m-hikari.com/ijma/ijma-2011/ijma-25-28-2011/index.html

zbMATH Keywords

arithmetic Asian optionMellin transformpartial differential equations

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

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Cited in

(9)

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• On the modified arithmetic Asian option equation and its analytical solution
• Fourier transform of the continuous arithmetic Asian options PDE
• The pricing of vulnerable options with double Mellin transforms
• Pricing Asian options in financial markets using Mellin transforms
• Transforming arithmetic Asian option PDE to the parabolic equation with constant coefficients
• Laplace and Fourier transforms on arithmetic Asian options
• Pricing vulnerable options under jump diffusion processes using double Mellin transform
• An efficient algorithm to solve the geometric Asian power option price PDE under the stochastic volatility model

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